Fianancial mathematical programmation project - Grenoble INP - Ensimag
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Fianancial mathematical programmation project
ECTS credits : 3.5
Hours
Lecture : 36
Lecture : 36
Objectives
Contact Ollivier TARAMASCO
Make a C++ library of regression models with ARCH type residuals.
Excel / WEB interface
Contact Ollivier TARAMASCO
Content
Prerequisites
Class design of ARMA/GARCH type models
Conditional mean and conditional variance computation.
Simulation
Maximum likelihood estimation
Prerequisites
2nd Year program
Financial statistical methods
Assessment
Continuous control (100%)
N1=P
pas de rattrapage
École nationale supérieure d'informatique et de mathématiques appliquées
681, rue de la passerelle - Domaine universitaire - BP 72 - 38402 SAINT MARTIN D'HERES Copyright Grenoble INP
681, rue de la passerelle - Domaine universitaire - BP 72 - 38402 SAINT MARTIN D'HERES Copyright Grenoble INP